Archive for the ‘Eurodollar Options’ Category
April 19. Goldman to be charged by SEC
The Goldman bombshell provided the catalyst to send yields to new lows. As the SEC announced action against GS, the firm lost $12.4B in market cap (-12.8%). Most other financials were down around 5%. –The two year yield dropped below 1% to 0.95%, while tens fell 7.5 bps to 3.77%. Near euro$ calendar spreads made […]
April 15. Stronger than expected Retail Sales
Retail Sales were stronger than expected +1.6. After Bernanke comments which affirmed low rates, the back end of the curve sold off; curve steepened. Red/gold pack spread was up 5.75. At one point golds were -10. Ten year yield rose 4.5 bps to 3.855%. –Several news items today suggest foreclosures are again starting to rise. […]
April 14.
Bernanke in front of JEC to speak about economic outlook. There were some rumors early yesterday that he might adopt a less dovish posture, though rates were still lower on the day. Curve was slightly flatter with ten yr yield down 4 bps and 2’s unchanged. In seven sessions tens have gone from 4% to […]
April 13. Strong rally in eurodollars
In spite of the Greek bailout, US rates continued to fall, with ten yr note back to 3.85% (-4 bps on the day). There was notable buying in green eurodollars (third year). I don’t usually check open interest changes but total was up 82k in eurodollars, about 14k in greens, which closed +8.125 on the […]
April 12. Greece vs US residential real estate
Eurodollars came back from an early deficit to close nearly unchanged Friday. Last week appeared to have potential to break out to higher rates as tens touched 4% and auctions loomed, but european problems (highlighted by Greece) shifted demand to the safety of the US. (tens closed 3.89). One year euro$ calandar spreads which have […]
April 8. Ten year rejects 4%, back to 3.86
April 8. Powerful rally in interest rate futures as Greece deterioration continues. Red eurodollars +12. Ten year auction saw strong demand (bonds today). While Hoenig argues that the current low funds rate should be raised from its artificially low level, Bernanke is still concerned about weakness in both residential and commercial real estate, and the […]
April 7. Ten year auction/Bernanke speaks
— US interest rate futures rallied Tuesday. While more economists appear to be moving toward the view that growth is picking up steam due to increased business profits, the FOMC minutes revealed a bias toward slower growth and subdued labor gains. –In spite of treasury supply (tens today, bonds tomorrow), the market pushed toward lower yields […]
April 6. Ten year note yield touches 4%
April 6. Ten year note touched 4%. Crude oil continues to rally (near $87 bbl). ISM Services were stronger than expected at 55.4 (want fries with that?) and Pending Home Sales were also cited as a sign of economic strength. The latter isn’t so surprising as people want to take advantage of low rates and […]
Apr 5, 2010. Bearish interest rate action after weaker than expected NFP
April 5, 2010. In response to an employment report that wasn’t particularly robust, (weaker than expected payroll growth, long term unemployed rose to 6.5m and % of unemployed for 27 weeks or more rose to record 44.1% of all jobless), interest rate futures sold off. Ten year yield rose nearly 6 bps to 3.947, matching […]
March 29. Renewed focus on bank reforms?
Friday saw continued dollar strength, a slight rebound in fixed income prices, and new lows in eurodollar implied vol. Stocks were slightly weaker. Ten year yield declined from nearly 3.90% to 3.85%. –Today Personal Income is expected +0.1% with Spending +0.3%. Payrolls on Friday expected +200k. –“Obama Housing Plan Seeks to Reduce Mortgage Debt”…headline from […]
